Davis Government Correlations

DGVCX Fund

USD 5.12 0.01 0.20%

The current 90-days correlation between Davis Government Bond and Davis International Fund is -0.12 (i.e., Good diversification). The correlation of Davis Government is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Davis Government Correlation With Market

Good diversification

The correlation between Davis Government Bond and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Davis Government Bond and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Davis Government Bond. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with Davis Mutual Fund

0.93	RFBAX	Davis Government Bond	Pair Corr
0.85	EASDX	Eaton Vance Short	Pair Corr
0.85	VFIRX	Vanguard Short Term	Pair Corr
0.85	VFISX	Vanguard Short Term	Pair Corr
0.87	VSGBX	Vanguard Short Term	Pair Corr
0.88	VSBIX	Vanguard Short Term	Pair Corr
0.92	VSGDX	Vanguard Short Term	Pair Corr
0.73	FUMBX	Fidelity Short Term	Pair Corr
0.81	ECLDX	Eaton Vance Short	Pair Corr
0.86	EALDX	Eaton Vance Short	Pair Corr
0.86	EILDX	Eaton Vance Short	Pair Corr
0.89	LGANX	Loomis Sayles Limited	Pair Corr
0.91	LFRIX	Floating Rate	Pair Corr
0.77	AGTHX	Growth Fund	Pair Corr
0.89	SSAGX	Virtus Seix Government	Pair Corr
0.9	LALDX	Lord Abbett Short	Pair Corr

Moving against Davis Mutual Fund

0.57	GAAGX	Gmo Alternative Allo	Pair Corr
0.54	GAAKX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	DILCX	DILAX	DILYX	RPFGX	RPFCX	RPFRX	RPEAX	DNVYX	RFBAX	DREYX
DILCX		0.94	1.0	0.2	0.6	0.85	0.76	0.75	-0.54	0.85	DILCX
DILAX	0.94		0.94	0.17	0.6	0.82	0.73	0.72	-0.55	0.82	DILAX
DILYX	1.0	0.94		0.21	0.61	0.85	0.76	0.75	-0.53	0.85	DILYX
RPFGX	0.2	0.17	0.21		0.77	0.45	0.58	0.66	0.16	0.45	RPFGX
RPFCX	0.6	0.6	0.61	0.77		0.78	0.77	0.8	-0.21	0.79	RPFCX
RPFRX	0.85	0.82	0.85	0.45	0.78		0.89	0.88	-0.58	1.0	RPFRX
RPEAX	0.76	0.73	0.76	0.58	0.77	0.89		0.99	-0.55	0.89	RPEAX
DNVYX	0.75	0.72	0.75	0.66	0.8	0.88	0.99		-0.47	0.88	DNVYX
RFBAX	-0.54	-0.55	-0.53	0.16	-0.21	-0.58	-0.55	-0.47		-0.57	RFBAX
DREYX	0.85	0.82	0.85	0.45	0.79	1.0	0.89	0.88	-0.57		DREYX
	DILCX	DILAX	DILYX	RPFGX	RPFCX	RPFRX	RPEAX	DNVYX	RFBAX	DREYX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

DILYX	+ 1.0	DILCX
DREYX	+ 1.0	RPFRX
DNVYX	+ 0.99	RPEAX
DILAX	+ 0.94	DILCX
DILYX	+ 0.94	DILAX
RPEAX	+ 0.89	RPFRX

High negative correlations

RFBAX	- 0.58	RPFRX
DREYX	- 0.57	RFBAX
RFBAX	- 0.55	RPEAX
RFBAX	- 0.55	DILAX
RFBAX	- 0.54	DILCX
RFBAX	- 0.53	DILYX

Risk-Adjusted Indicators

There is a big difference between Davis Mutual Fund performing well and Davis Government Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Davis Government's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DILCX	0.81	(0.12)	0.00	(0.19)	0.00	0.00	1.50	(2.44)	6.34
DILAX	0.82	(0.10)	0.00	(0.46)	0.00	0.00	1.53	(2.39)	6.30
DILYX	0.83	(0.12)	0.00	(0.18)	0.00	0.00	1.50	(2.43)	6.30
RPFGX	0.79	0.06	0.02	0.20	0.92	(0.86)	1.34	(1.40)	9.41
RPFCX	0.58	(0.02)	(0.05)	0.04	1.18	(0.59)	0.89	(1.26)	9.17
RPFRX	0.92	(0.20)	0.00	(0.30)	0.00	0.00	1.42	(1.88)	5.63
RPEAX	0.89	(0.21)	0.00	(0.34)	0.00	0.00	1.29	(1.45)	17.60
DNVYX	0.80	(0.10)	0.00	(0.14)	0.00	0.00	1.19	(1.51)	13.95
RFBAX	0.08	0.00	(0.32)	0.00	0.00	(0.23)	0.20	(0.20)	0.79
DREYX	0.92	(0.19)	0.00	(0.30)	0.00	0.00	1.44	(1.89)	5.62

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